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Return-volatility linkages in the international equity and currency markets
Francis, Bill B; Hasan, Iftekhar; Hunter, Delroy M. - Suomen Pankki - 2002
This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework, we examine conditional cross-autocorrelations...
Persistent link: https://www.econbiz.de/10005423700
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Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market
Laakkonen, Helinä - Suomen Pankki - 2015
political uncertainties. Our results might partly explain the sudden freeze and low liquidity in some financial markets during …
Persistent link: https://www.econbiz.de/10011207864
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What determines bank stock price synchronicity? Global evidence
Francis, Bill; Hasan, Iftekhar; Song, Liang; Yeung, Bernard - Suomen Pankki - 2012
This paper examines what institutional and bank-specific factors determine bank stock price synchronicity. Using data on 37 countries from 1996–2007, we find that bank stocks are more aligned with the whole market (1) during the financial crisis; (2) in countries that have more credit provided...
Persistent link: https://www.econbiz.de/10010945107
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In search of concepts: The effects of speculative demand on returns and volume
ap Gwilym, Owain; Wang, Qingwei; Hasan, Iftekhar; Xie, Ru - Suomen Pankki - 2013
Using a novel proxy of investors’ speculative demand constructed from online search interest in “concept stocks”, we examine how speculative demand affects the returns and trading volume of Chinese stock indices. We find that returns and trading volume increase with the contemporaneous...
Persistent link: https://www.econbiz.de/10010691919
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The rigidity bias
Herrala, Risto - Suomen Pankki - 2003
We study the basic economic problem of choice between long-term and short-term commitments under a general characterization of uncertainty (aggregate uncertainty). When contingencies are contractible, a perfect market of Arrow-Debreau contingent claims implements the social optimum. When...
Persistent link: https://www.econbiz.de/10005207147
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Liquidity and market efficiency : alive and well?
Liikanen, Erkki; Jylhä, Petri; Pennacchi, George G.; … - Joint Conference with the Bank of Finland in Helsinki …; … - 2015
liquidity and market efficiency. The one-day program consisted of an opening speech, six presentations, including three keynotes …
Persistent link: https://www.econbiz.de/10011414459
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Bank runs, liquidity and credit risk
Topi, Jukka - Suomen Pankki - 2008
In this paper, I develop a model that addresses the links between banks’ liquidity outlook and their incentives to take … credit risk. Assuming that both bank-specific liquidity shocks and credit losses are necessary to provoke bank runs, the …-specific liquidity shock declines. This suggests that the benign liquidity outlook prevailing prior to the subprime crisis may have …
Persistent link: https://www.econbiz.de/10005648970
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Cross-Border Performance in European Banking
Hasan, Iftekhar; Lozano-Vivas, Ana; Pastor, Jesús T. - Suomen Pankki - 2000
Recent cross-country comparisons of bank efficiency have been based on pooled estimates of banks across countries and have typically assumed a common frontier and that differences in performance among banks are primarily due to disparities in certain country-specific aspects of banking...
Persistent link: https://www.econbiz.de/10005423697
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Trading Nokia: The roles of the Helsinki vs the New York stock exchanges
Jokivuolle, Esa; Lanne, Markku - Suomen Pankki - 2004
Helsinki is the more liquidity-oriented trading place. …
Persistent link: https://www.econbiz.de/10005423698
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Which financial stocks did short sellers target in the subprime crisis?
Hasan, Iftekhar; Massoud, Nadia; Saunders, Anthony; … - Suomen Pankki - 2015
Tracing the SEC ban on the short selling of financial stocks in September 2008, this paper investigates whether such selling activity before the 2008 short ban reflected financial companies’ risk exposures in the subprime crisis. The evidence suggests that short sellers sold short stocks that...
Persistent link: https://www.econbiz.de/10011188494